BGE How to make text appear when winning or losing a game?
The Message Actuator works with the Message Sensor to send messages between objects in the game, not to send messages to the player. To show text to the player you need to show a text object or an object that has text as part of it's material, you can also use a scene as an overlay to present the text as part of a HUD.

You could use the messaging system to have an exit sign object become visible by having it change it's visibility when it recieves a message.